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Results tagged with stochastic-calculus
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user 62930
Questions about stochastic calculus in Mathematica, for example how to use ItoProcess and RandomFunction.
2
votes
0
answers
201
views
Kloeden–Platen–Schurz algorithm for SDE
RandomFunction's Method setting includes "Kloeden–Platen–Schurz" as a possibility. Which is supposed to be order 3/2.
I cannot find a reference to that name of an algorithm anywhere. Is this
The order …
- 221
1
vote
1
answer
73
views
Wrong means given by `RandomFunction` for `StratonovichProcess`
Hello I was trying to compute mean of multiple Stratonovich integral (for $W$ standard Wiener process).
$$
J_{(1,1)} = \int_0^1 \left(\int_0^s 1\,\circ \mathrm{d}W_t\right) \circ \mathrm{d}W_s
$$
Usin …
- 221
4
votes
1
answer
169
views
WhenEvent in Stochastic Differential Equation
Is there a way to add events with WhenEvent or similar when using ItoProcess?
Minimal example of my problem would be to change sign when diffusion hits a wall. (Post processing is no good - I need to …
- 221